MSCI FaCS™ on Funds

MSCI FaCS on Funds extends MSCI FaCS, a Factor Classification Standard and framework for
evaluating, implementing and reporting style factor exposures to Equity ETFs and mutual fund

With the growth in access of factor investing solutions, comes the need for standards to bring clarity to the confusion.
Exchange Traded Funds (ETFs) and Mutual Funds can be important instruments in any investment portfolio. Despite
their wide usage, however, it is still a challenge to evaluate and compare funds from a standard framework that
provides investors insight into the drivers of risk and return.
MSCI FaCS on Funds allows investors to use a common language for evaluating and comparing Exchange Traded
Funds and Mutual Funds through MSCI FaCS’s 8 Factor Groups.

Key features Benefits

• Holdings based approach that aggregates at the stock level
to provide fund level factor exposures
• Coverage of more than 1,600 ETFs globally
• MSCI Factor Box provides the visualization to easily compare
Factor exposures between funds and benchmarks
• Coverage of 7,000+ Mutual Funds that cover 27,000+
share classes
• Analyze equity funds from a standard factor framework
• Compare multiple funds through 8 Factor Groups available in
MSCI FaCS
• Report Factor exposures as a way to evaluate manager
insight or skill
• Screen and narrow the fund universe based on style Factor
characteristics

What is MSCI FaCS?

• MSCI FaCS is a standard method for evaluating and reporting the Factor characteristics of equity portfolios
• MSCI FaCS consists of 8 Factor Groups that have been extensively documented in academic literature and identified by MSCI
Research as key drivers of risk and return
• The 8 Factor Groups are constructed by aggregating the 16 Factors and 41 Descriptors from the MSCI Barra Global Equity Factor
Model (GEMLT model), designed to make fund comparisons transparent and intuitive for use
• MSCI FaCS is the Factor classification standard that powers Factor Box

Underweight Neutral Overweight

How does the Factor Box work?

MSCI FaCS on Funds follows a thorough data management VALUE

process to incorporate holdings level data from multiple

LOW SIZE

sources, market data and factor exposures. Users of FaCS on

Funds can incorporate this data into their own reporting and MOMENTUM
Fund exposure

communication, including MSCI Factor Box. Benchmark exposure

MSCI Factor Box allows investors to compare Factor exposures

QUALITY

in three different visuals: YIELD

• Bars shows the fund exposure across Factors

• Circle shows the Factor exposure of chosen benchmark
LOW VOLATILITY

• Distance between circle and bar shows difference between

fund exposure and benchmark exposure = Active Factor
exposure
*MSCI Factor Box neutral line (Exposure = 0) is based on the Global Equity Universe determined by MSCI IMI

MSCI FaCS™ on Funds | msci.com

Based on MSCI’s Global Equity Factor Structure, MSCI FaCS includes 8 Factor Groups, and 16 Factors

VOLATILITY YIELD QUALITY MOMENTUM VALUE SIZE GROWTH LIQUIDITY

Beta Dividend Yield Leverage Momentum Book-to-Price Mid Cap Growth Liquidity

Residual Volatility Investment Quality Earnings Yield Size

Earnings Variability Reversal

Earnings Quality

Profitability

About MSCI
MSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years of
expertise in research, data and technology, we power better investment decisions by enabling clients to understand and analyze key
drivers of risk and return and confidently build more effective portfolios. We create industry-leading research-enhanced solutions
that clients use to gain insight into and improve transparency across the investment process.

To learn more, please visit www.msci.com.

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MSCI FaCS™ on Funds | msci.com